Trend-Following Backtester · Guide · backtest 한국어
equity · US
Owens Corning Inc backtest
10 trend-following strategies were compared on the full daily history of Owens Corning Inc. 0 beat buy-and-hold CAGR; ROC 모멘텀 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 7.8%, MDD -46.8%).
Results by strategy
0 of 10 beat buy and hold (CAGR 8.5%, drawdown -85.2%).
Sharpe leader (same as main): ROC 모멘텀 — CAGR 8.2%, MDD -56.1%, Sharpe 0.42, 67% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 0.3%p lower than buy and hold, while drawdown improves by 29.2%p (CAGR 7.8%, MDD -46.8%, exposure 56%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ROC 모멘텀 n=100, threshold=-0.04 |
8.2% | -56.1% | 0.42 | 0.15 | 4.7x | 151 | 67% |
| Donchian 채널 돌파 entryN=50, exitN=50 |
7.8% | -46.8% | 0.42 | 0.17 | 4.4x | 41 | 56% |
| SMA 크로스오버 fast=44, slow=93 |
6.2% | -56.0% | 0.36 | 0.11 | 3.3x | 57 | 59% |
| Supertrend period=18, mult=1.4 |
4.8% | -69.1% | 0.31 | 0.07 | 2.5x | 386 | 55% |
| EMA 크로스오버 fast=33, slow=38 |
4.2% | -62.5% | 0.29 | 0.07 | 2.3x | 83 | 60% |
| Parabolic SAR step=0.015, maxStep=0.12 |
3.9% | -73.4% | 0.28 | 0.05 | 2.1x | 338 | 54% |
| ADX / DI 방향성 period=33, threshold=30 |
0.6% | -5.3% | 0.27 | 0.12 | 1.1x | 2 | 1% |
| MACD fast=12, slow=50, signal=14 |
3.4% | -55.3% | 0.26 | 0.06 | 1.9x | 286 | 51% |
| Keltner 채널 돌파 emaPeriod=22, atrPeriod=11, mult=1.8 |
0.7% | -53.4% | 0.13 | 0.01 | 1.2x | 156 | 30% |
| 볼린저 밴드 돌파 n=49, k=2.1 |
-0.1% | -55.4% | 0.09 | -0.00 | 1.0x | 85 | 33% |
| Buy and hold | 8.5% | -85.2% | 0.40 | 0.10 | 5.0x | 1 | 100% |
Rules of the top strategy
Rides the trend when recent return (momentum) over a window is above a threshold.
- Buy — Buy when the last 100-day return is greater than -4%
- Sell — Sell when the 100-day return drops to -4% or below